Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0762 |
| Annualized Std Dev | 0.2358 |
| Annualized Sharpe (Rf=0%) | 0.3231 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2830.0000 |
| NAs | 1.0000 |
| Minimum | -0.1245 |
| Quartile 1 | -0.0061 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0075 |
| Maximum | 0.1058 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0149 |
| Skewness | -0.5329 |
| Kurtosis | 8.7217 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0109 |
| Gain Deviation | 0.0101 |
| Loss Deviation | 0.0120 |
| Downside Deviation (MAR=210%) | 0.0154 |
| Downside Deviation (Rf=0%) | 0.0108 |
| Downside Deviation (0%) | 0.0108 |
| Maximum Drawdown | 0.5467 |
| Historical VaR (95%) | -0.0233 |
| Historical ES (95%) | -0.0361 |
| Modified VaR (95%) | -0.0236 |
| Modified ES (95%) | -0.0485 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-20 | 2009-03-09 | 2013-05-06 | -0.5467 | 1145 | 353 | 792 |
| 2020-02-20 | 2020-03-23 | 2020-11-16 | -0.4247 | 149 | 22 | 127 |
| 2014-09-05 | 2016-02-08 | 2016-11-22 | -0.2305 | 405 | 267 | 138 |
| 2018-09-21 | 2018-12-27 | 2020-01-16 | -0.2291 | 283 | 63 | 220 |
| 2018-01-29 | 2018-02-09 | 2018-06-06 | -0.0893 | 81 | 9 | 72 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.6 | -0.6 |
| 2007 | 0.3 | -0.3 | 0.2 | -1.4 | 0.6 | -0.1 | -1.1 | 1.8 | 1.1 | -1.3 | 1.9 | -0.9 | 0.7 |
| 2008 | 4.7 | -2.4 | 1.7 | -0.8 | 0.4 | -1 | -0.3 | -0.9 | 0.1 | 1 | 0.7 | 1.6 | 4.9 |
| 2009 | -0.8 | 0.7 | -0.8 | 1.7 | 0.7 | 1.3 | 1.1 | -3.8 | -2.1 | -1 | 2.3 | 0.1 | -0.7 |
| 2010 | 1 | 1.7 | 0.3 | -0.1 | -0.5 | -1.9 | -0.8 | 2.7 | 0.3 | -0.1 | 0.1 | -0.1 | 2.5 |
| 2011 | 0.9 | 1.2 | 0.3 | 0.3 | -1.7 | 1.6 | -2.6 | -1.3 | -0.7 | -2.9 | 0.8 | 0.1 | -4.1 |
| 2012 | 2 | -0.4 | 0.5 | 1.1 | -0.9 | 3.3 | -1.3 | 0.3 | 0.8 | 1 | 0.6 | -1.9 | 5 |
| 2013 | -0.2 | -0.5 | -0.1 | 0 | -1 | 0.7 | 1.2 | -2.4 | 1 | 0.2 | 0.5 | -0.2 | -0.8 |
| 2014 | 0.8 | 1 | 1 | 0.1 | 0.2 | 0.9 | 0 | 0.3 | -1.4 | 2 | -1.9 | -0.9 | 2 |
| 2015 | -1.4 | -0.1 | -0.3 | -0.5 | -0.1 | 0.8 | 0.3 | -2.6 | 1.7 | 0 | 0.1 | -1.1 | -3.3 |
| 2016 | -0.2 | 1 | 0.7 | 0 | 0.2 | 0.4 | -0.8 | -0.5 | 0.8 | -0.5 | -0.4 | -0.5 | 0.1 |
| 2017 | 0.5 | 1.6 | 0 | 0 | 0.2 | 1.1 | 0.3 | 0.7 | 0.5 | 1.2 | -0.7 | 0 | 5.5 |
| 2018 | -0.7 | -1.9 | 0.9 | 0.1 | 0.6 | 0.7 | -0.7 | 0.2 | 0.3 | 0.6 | 0.7 | 0.1 | 0.7 |
| 2019 | 0.9 | 0.6 | 1.1 | 0.4 | 0.1 | 1.4 | -1.9 | 0 | -1.7 | -0.7 | -0.4 | -0.2 | -0.5 |
| 2020 | -2 | -1.6 | -6.1 | -4.1 | 1.5 | -0.3 | 1 | 0.8 | 1.2 | -1.7 | -1.7 | 0.2 | -12.6 |
| 2021 | 1.8 | 2.8 | 1.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.9 |
Row
Price Chart
# tidytable [6 × 5]
datadate Close spy gld rel
<date> <dbl> <dbl> <dbl> <dbl>
1 2006-12-07 19.9 141. 62.7 19.9
2 2006-12-08 19.9 141. 62.0 19.8
3 2006-12-11 19.9 142. 62.6 19.8
4 2006-12-12 19.8 142. 62.5 19.8
5 2006-12-13 19.9 142. 62.5 19.8
6 2006-12-14 20.1 143. 62.1 19.8Row
Rolling Performance Chart
Row
Snail Trail Chart
